Credit Derivatives / Wiley Finance Series (ePub)
Trading, Investing, and Risk Management
(Sprache: Englisch)
The credit derivatives industry has come under close scrutiny over
the past few years, with the recent financial crisis highlighting
the instability of a number of credit structures and throwing the
industry into turmoil. What has been made clear by...
the past few years, with the recent financial crisis highlighting
the instability of a number of credit structures and throwing the
industry into turmoil. What has been made clear by...
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The credit derivatives industry has come under close scrutiny over
the past few years, with the recent financial crisis highlighting
the instability of a number of credit structures and throwing the
industry into turmoil. What has been made clear by recent events is
the necessity for a thorough understanding of credit derivatives by
all parties involved in a transaction, especially traders,
structurers, quants and investors.
Fully revised and updated to take in to account the new
products, markets and risk requirements post financial crisis,
Credit Derivatives: Trading, Investing and Risk Management,
Second Edition, covers the subject from a real world
perspective, tackling issues such as liquidity, poor data, and
credit spreads, to the latest innovations in portfolio products,
hedging and risk management techniques.
The book concentrates on practical issues and develops an
understanding of the products through applications and detailed
analysis of the risks and alternative means of trading.
It provides:
* a description of the key products, applications, and an
analysis of typical trades including basis trading, hedging, and
credit structuring;
* analysis of the industry standard 'default and recovery' and
Copula models including many examples, and a description of the
models' shortcomings;
* tools and techniques for the management of a portfolio or book
of credit risks including appropriate and inappropriate methods of
correlation risk management;
* a thorough analysis of counterparty risk;
* an intuitive understanding of credit correlation in reality and
in the Copula model.
The book is thoroughly updated to reflect the changes the
industry has seen over the past 5 years, notably with an analysis
of the lead up and causes of the credit crisis. It contains 50% new
material, which includes copula valuation and hedging, portfolio
optimisation, portfolio products and correlation risk management,
pricing in illiquid environments, chapters on the evolution of
credit management systems, the credit meltdown and new chapters on
the implementation and testing of credit derivative models and
systems.
The book is accompanied by a website which contains tools
for credit derivatives valuation and risk management, illustrating
the models used in the book and also providing a valuation
toolkit.
the past few years, with the recent financial crisis highlighting
the instability of a number of credit structures and throwing the
industry into turmoil. What has been made clear by recent events is
the necessity for a thorough understanding of credit derivatives by
all parties involved in a transaction, especially traders,
structurers, quants and investors.
Fully revised and updated to take in to account the new
products, markets and risk requirements post financial crisis,
Credit Derivatives: Trading, Investing and Risk Management,
Second Edition, covers the subject from a real world
perspective, tackling issues such as liquidity, poor data, and
credit spreads, to the latest innovations in portfolio products,
hedging and risk management techniques.
The book concentrates on practical issues and develops an
understanding of the products through applications and detailed
analysis of the risks and alternative means of trading.
It provides:
* a description of the key products, applications, and an
analysis of typical trades including basis trading, hedging, and
credit structuring;
* analysis of the industry standard 'default and recovery' and
Copula models including many examples, and a description of the
models' shortcomings;
* tools and techniques for the management of a portfolio or book
of credit risks including appropriate and inappropriate methods of
correlation risk management;
* a thorough analysis of counterparty risk;
* an intuitive understanding of credit correlation in reality and
in the Copula model.
The book is thoroughly updated to reflect the changes the
industry has seen over the past 5 years, notably with an analysis
of the lead up and causes of the credit crisis. It contains 50% new
material, which includes copula valuation and hedging, portfolio
optimisation, portfolio products and correlation risk management,
pricing in illiquid environments, chapters on the evolution of
credit management systems, the credit meltdown and new chapters on
the implementation and testing of credit derivative models and
systems.
The book is accompanied by a website which contains tools
for credit derivatives valuation and risk management, illustrating
the models used in the book and also providing a valuation
toolkit.
Autoren-Porträt von Geoff Chaplin
GEOFF CHAPLIN studied mathematics at Cambridge (MA 1972)and Oxford (MSc 1973, DPhil 1975) and trained as an actuary (FFA
1978) while working in a life insurance company. He moved to the
City in 1980 and has worked for major banks (including HSBC, Nomura
International, and ABN AMRO). As a partner in Reoch Credit he has
consulted to law firms, hedge funds, corporate treasurers,
institutional investment funds and risk control departments of
major banks in the areas of credit and mortality risk. He has been
involved in the credit derivatives market since 1996 and life
settlements structures since 2003. Geoff has also maintained strong
academic interests - he was a visiting (emeritus) professor
at the University of Waterloo, Canada, from 1987 until 1999. He has
also published many articles in Risk, the Journal of the
Institute and Faculty of Actuaries, and others, speaks
regularly at conferences and is the author of Credit
Derivatives: Risk Management, Trading and Investing (John Wiley
& Sons Ltd, 2005) and co-author of Life Settlements and
Longevity Structures: Pricing and Risk Management: Investment and
Structured Finance (John Wiley & Sons Ltd, 2009).
Bibliographische Angaben
- Autor: Geoff Chaplin
- 2010, 2. Auflage, 408 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470689862
- ISBN-13: 9780470689868
- Erscheinungsdatum: 15.03.2010
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eBook Informationen
- Dateiformat: ePub
- Größe: 3.93 MB
- Mit Kopierschutz
Sprache:
Englisch
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